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VIX down 6.5% and breaks the 13 level for the first time this year.

Mar 15, 2019

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels
Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels

Options Market Commentary

Equities are rallying this afternoon (on 2019 highs) even as economic data was mixed this morning. Empire Manufacturing (3.7 vs. 10 est.) and Industrial Production (0.1% vs. 0.4% est.) came in soft while Michigan Consumer Confidence (97.8 vs. 95.7 est.) beat expectations. Currently, the S&P is +.7%, the Russell is +.8% and the Nasdaq +1.1%. Bonds are stronger (TLT +.4%, US 10 year yield down to 2.6%) but off highs as the New York Fed maintained its Q1 GDP forecast at 1.4%. In single name news, Tesla is down roughly 4% after revealing its Model Y (SUV) – concerns are mounting over demand and future cash flow issues. Gold (+.45) and Silver (+.75) are both bid today as the dollar is mildly weaker (-.15). Volatilities are under pressure and on year-to-date lows with the VIX -6.5% at 12.61, VXN -4% to 15.07, and RVX -5% at 15.08.

 

ETF 30D Volatility Changes

SPY:    -6%

IWM:   -5%

QQQ:  -6%

    

 

Directional Options Strategies

Bullish Option Strategies

CSCO Buyer 2,700 Mar 22nd 53.5 calls (ref. 53.27)

FCX Buyer 2,045 May 14 calls (ref. 12.46)

GM 6,000 Apr – May 40 call spreads trade (appears to roll out, ref. 38.07)

BKS Buyer 5,500 Jul 6 calls (ref. 5.40)

 

Bearish Option Strategies

TGE Buyer 2,300 Oct 22.5 puts (ref. 24.04)

F Buyer 8,100 Mar 29th 8.5 puts (1M Skew near 1 SD above trailing 1-year mean, ref. 8.41)

AMD Buyer 4,000 May 20 puts (ref. 23.61)

ZNGA Seller 10,000 Sep 5 calls (appears closing, ref. 5.37)

TSLA Buyer 6,000 Apr 80 puts (paid $.14, ref. 278.67)

 

Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable
Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable

Macro Options Strategies

Bullish Option Strategies

EEM Seller 10,000 Sep 38 – 33 put spreads (ref. 42.99)

EFA Seller 15,600 Apr 65 puts (ref. 65.11)

EFA Buyer 50,000 Apr 12th 65.5 calls (paid $.58, ref. 65.02)

VIX Buyer 25,000 May 12 puts (paid $.15, ref. 15.68)

QQQ 6,000 May 177 – 185 1x2 call spreads trade (appears bought, ref. 177.71)

FXI Buyer 60,000 Apr 12th 45.5 – 47 call spreads (paid $.36, ref. 44.43)

XLF Buyer 6,000 Jan 29 calls (ref. 26.62)

Bearish Option Strategies

VIX Seller 90,000 Apr 13 – 12.5 put spreads to Buy 90,000 May 25 – 27 call spreads (collected $.04, ref. 15.03 (Apr) and 15.73 (May))

SPY 12,000 Apr 230 puts trade (appears bought, ref. 280.48)

SPY 14,901 Mar 22nd 266 puts trade (appears bought, ref. 280.49)

QQQ 6,100 Apr 171 – 164 put spreads trade (appears bought, ref. 177.38)

HYG Buyer 53,000 May 84 – 81 put spreads trade (paid $.25, ref. 85.81)

XBI Seller 5,000 Mar 90 calls to Buy 5,000 May 96 – 87 – 80 put trees (paid $.74, ref. 91.00)

TLT Buyer 10,000 Apr 121 puts (paid $.96, ref. 121.59)

EFA Seller 60,000 Mar 65 calls (closing, ref. 65.14)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

AABA 5,000 Apr 60 – 70 Jelly Rolls trade (ref. 73.83)

COTY 5,000 Apr 15 RevCons trade (ref. 11.00)

HYG 10,000 Apr 95 RevCons trade (ref. 85.78)

XOP 9,629 Mar – Sep 30 Jelly Rolls trade (ref. 29.89)

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
OSTK 3/18/2019 14.0 10.5 33.2% C 8,421
DSW 3/19/2019 9.4 11.0 -14.7% F 1,871
FDX 3/19/2019 5.2 4.6 12.6% D 267,345
SCS 3/19/2019 0.8 7.7 -89.0% C 1,928
SMAR 3/19/2019 7.1 2.7 165.3% F 1,800
GIS 3/20/2019 4.1 4.1 -1.4% C 24,883
MU 3/20/2019 6.4 5.6 14.5% D 666,146
WSM 3/20/2019 8.1 7.2 12.9% B 2,420
CAG 3/21/2019 8.6 5.7 50.3% C 42,539
CCL 3/21/2019 3.9 4.2 -6.2% D 27,288
CTAS 3/21/2019 4.0 3.9 1.7% B 5,451
DRI 3/21/2019 6.5 6.0 7.0% B 19,545
GIII 3/21/2019 11.9 11.2 6.2% C 4,747
JEF 3/21/2019 1.2 2.3 -48.3% D 3,988
LE 3/21/2019 11.0 14.5 -24.4% D 8,928
NKE 3/21/2019 4.6 4.8 -3.7% C 340,968
TIF 3/22/2019 6.3 7.1 -11.9% C 26,536
WGO 3/25/2019 8.9 7.9 12.8% D 1,928
FDS 3/26/2019 5.4 4.3 27.2% A 1,696
KBH 3/26/2019 4.2 5.1 -18.5% C 29,542
MKC 3/26/2019 3.9 4.7 -17.9% B 19,748
OLLI 3/26/2019 7.3 4.8 53.1% B 4,474
FIVE 3/27/2019 8.3 7.4 13.3% B 27,643
LEN 3/27/2019 3.8 4.4 -12.1% A 32,643
LULU 3/27/2019 10.2 12.2 -16.6% A 272,146
PAYX 3/27/2019 2.0 1.9 6.1% A 15,974
PVH 3/27/2019 4.7 4.4 7.9% B 3,105
RH 3/27/2019 13.2 19.5 -32.4% C 23,491
KMX 3/29/2019 6.0 4.9 22.7% C 56,094
GME 4/2/2019 6.3 6.4 -1.9% C 7,329
LW 4/2/2019 6.2 4.0 53.4% C 1,698
AYI 4/4/2019 7.2 9.2 -21.7% D 19,172
STZ 4/4/2019 5.4 5.8 -7.4% B 66,685
BBBY 4/10/2019 13.7 12.7 8.2% D 14,532
FAST 4/10/2019 5.2 5.9 -11.1% B 62,745
DAL 4/11/2019 2.8 2.0 36.7% B 78,651
JPM 4/12/2019 1.8 1.2 52.4% C 473,762
PNC 4/12/2019 2.3 1.6 40.2% C 17,680
WFC 4/12/2019 2.6 1.7 51.0% C 328,345
C 4/15/2019 2.8 1.9 44.4% C 215,942
CE 4/15/2019 2.9 2.5 14.5% D 2,684
JBHT 4/15/2019 1.9 3.0 -38.8% C 1,524
BAC 4/16/2019 1.7 2.3 -26.8% C 440,466
CMA 4/16/2019 1.1 2.5 -53.7% A 4,443
CSX 4/16/2019 2.1 3.7 -43.0% B 38,344
GS 4/16/2019 3.5 3.2 10.4% D 396,891
IBM 4/16/2019 3.9 5.8 -33.0% C 233,659
LRCX 4/16/2019 3.0 5.7 -46.8% C 144,836
NBEV 4/16/2019 14.8 9.2 60.3% F 6,041
NFLX 4/16/2019 7.3 6.9 6.2% D 3,540,152
PGR 4/16/2019 2.1 2.6 -16.0% B 33,034
PLD 4/16/2019 1.6 1.9 -13.1% C 14,699
SNV 4/16/2019 2.1 2.8 -25.7% B 2,795

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
WU 74.14% C -4.53% 32.94 495
CAG 69.63% C 0.53% 96.43 42,539
SKX 68.31% C -1.51% 66.27 9,631
IMMR 62.20% C -4.44% 27.78 1,520
CARS 59.05% B -0.10% 81.75 6,394
OZK 55.88% C -4.29% 71.03 692
TVTY 46.18% A 1.00% 85.32 72
FDP 45.91% D -3.24% 88.10 299
ISBC 44.61% A -1.40% 28.97 3,859
LW 44.18% C -4.22% 58.73 1,698
DIS 44.10% C 1.46% 43.65 379,341
KAR 43.59% C -7.24% 95.24 727
TIF 43.34% C -4.52% 70.63 26,536
HEAR 41.72% C -7.25% 64.85 14,794
WSM 40.21% B 0.00% 79.37 2,420
TTGT 39.79% C -2.51% 31.35 31
HIG 39.40% B -1.84% 40.08 4,498
NDLS 38.24% D -16.98% 59.52 6
FIVE 38.18% B -0.99% 68.65 27,643
BMY 37.70% C -2.32% 93.25 288,852
SLM 36.92% D -3.30% 33.73 1,239
UNM 36.36% C -3.59% 50.00 1,951
DG 34.95% A -3.23% 6.35 15,095
ULTA 34.81% B 0.00% 84.13 69,940
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -73.18% B -4.53% 20.24 166,977
VSM -56.68% C 0.53% 0.40 7,818
ELLI -55.27% D -1.51% 3.57 139,486
PCG -51.52% B -4.44% 72.22 90,297
SWCH -37.73% D -0.10% 38.49 38
EAF -37.28% C -4.29% 33.65 2,916
FFIV -37.21% B 1.00% 52.78 15,663
GWRE -36.76% D -3.24% 9.92 1,144
ALGN -35.49% C -1.40% 52.78 133,608
FWONK -33.82% C -4.22% 36.11 2,450
ANTM -33.75% B 1.46% 66.67 77,407
NEM -32.28% D -7.24% 34.13 45,972
FDC -32.16% C -4.52% 5.56 74
MAN -31.95% C -7.25% 3.17 10,737
DHR -31.94% B 0.00% 48.41 12,321
SGH -31.17% B -2.51% 40.63 618
UNH -30.87% A -1.84% 66.67 203,599
ZUO -30.76% D -16.98% 21.72 1,300
HUM -30.05% A -0.99% 78.97 13,546
FOXA -29.82% B -2.32% 17.46 16,419
PM -29.52% A -3.30% 10.71 95,948
AMCX -27.61% C -3.59% 34.92 1,567
EOG -27.19% F -3.23% 59.52 67,922
CTL -26.96% D 0.00% 70.63 37,559
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE